If you think the burning and stinging caused by applying a product is a sacrifice you're willing to make all for beauty, think again: No skin care should make you suffer from those things. A little tingling is fine, but major stinging and burning could be signs of contact dermatitis. If you start feeling like your skin's on fire, don't hesitate to remove and rinse immediately (yes, even if it's a really expensive face mask).
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Unless you're a vampire, you're generally not supposed to be extra sensitive to the sun. That said, some acne products and exfoliants made with ingredients like AHAs, retinol and benzoyl peroxide can make you more sensitive so you might want to apply them during the PM hours. If you can't really drop your acne product, be sure to protect yourself with umbrellas, hats, and your most trusted sunscreen (like the Supergoop Everyday Sunscreen SPF 50, $19).
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If you feel like there's something wrong when putting on makeup that wasn't there before, there probably is. When your skin is smooth and hydrated, your makeup looks and feels best. But if the canvas is acting up (you know, with flakes, dry patches, blemishes, pigmentation), then that's a sign that your skin care routine is doing you more harm than good.
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Of course, there won't be any instant changes in your face when you've just started your routine. It's not magic, you've got to wait for the product to do their job... But if weeks and months have gone by and you're not seeing any changes, it might be right to suspect the product's effectiveness. Anti-wrinkles and dark spots might take more time, but effective acne products, and moisturizers should show results within a few weeks.
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